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A simplified treatment of the theory of optimal regulation of Brownian motion
16 references·16 citing·34 second hopsampled
A simplified treatment of the theory of optimal regulation of Brownian motion (1991)A simplified treatment of the theory of o…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…The Optimality of (S,s) Policies in the Dynamic Inventory Problem (2005)The Optimality of (S,s) Polic…Super contact and related optimality conditions (1991)Super contact and related opt…Firing Costs and Labour Demand: How Bad is Eurosclerosis? (1990)Firing Costs and Labour Deman…Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods (1990)Asset Pricing and Optimal Por…Hysteresis, Import Penetration, and Exchange Rate Pass-Through (1989)Hysteresis, Import Penetratio…Entry and Exit Decisions under Uncertainty (1989)Entry and Exit Decisions unde…Brownian Motion and Stochastic Calculus. (1989)Brownian Motion and Stochasti…Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods (1987)Asset Pricing and Optimal Por…Irreversible Investment, Capacity Choice and the Value of the Firm (1986)Irreversible Investment, Capa…Instantaneous Control of Brownian Motion (1983)Instantaneous Control of Brow…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesControlled Diffusion Processes (1980)Controlled Diffusion ProcessesOption pricing: A simplified approach (1979)Option pricing: A simplified …The valuation of options for alternative stochastic processes (1976)The valuation of options for …MATHEMATICAL METHODS IN THE SOCIAL SCIENCES, 1959 (1960)MATHEMATICAL METHODS IN THE S…Should We Go Our Own Way? Backsourcing Flexibility in IT Services Contracts (2010)Should We Go Our Own Way? Bac…Optimal impulse control for a multidimensional cash management system with generalized cost functions (2008)Optimal impulse control for a…Predictability in Hedge Fund Returns (corrected) (2003)Predictability in Hedge Fund …Option pricing with transaction costs using a Markov chain approximation (2003)Option pricing with transacti…A generalized impulse control model of cash management (2003)A generalized impulse control…Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes (2000)Optimal Portfolio Management …A class of solvable singular stochastic control problems (1999)A class of solvable singular …Trend Employment Growth and the Bunching of Job Creation and Destruction (1998)Trend Employment Growth and t…Optimal delta-hedging under transactions costs (1997)Optimal delta-hedging under t…Optimal bank reorganization and the fair pricing of deposit guarantees (1997)Optimal bank reorganization a…Debt in Industry Equilibrium (1997)Debt in Industry EquilibriumFirm behaviour under the threat of liquidation (1996)Firm behaviour under the thre…Aggregate uncertainty, investment and asymmetric adjustment in the UK manufacturing sector (1996)Aggregate uncertainty, invest…Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data (1994)Geology or Economics? Testing…Option value of emission allowances (1993)Option value of emission allo…Irreversible Investment with Price Ceilings (1991)Irreversible Investment with …The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Planning Production, Inventories, and Work Force. 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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1989Entry and Exit Decisions under Uncertainty2,356 cited
  • 1960MATHEMATICAL METHODS IN THE SOCIAL SCIENCES, 19591,649 cited
  • 1990Firing Costs and Labour Demand: How Bad is Eurosclerosis?1,374 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1986Irreversible Investment, Capacity Choice and the Value of the Firm1,296 cited
  • 1989Brownian Motion and Stochastic Calculus.921 cited
  • 1989Hysteresis, Import Penetration, and Exchange Rate Pass-Through870 cited
  • 2005The Optimality of (S,s) Policies in the Dynamic Inventory Problem711 cited
  • 1990Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods518 cited
  • 1987Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods420 cited
  • 1991Super contact and related optimality conditions367 cited
  • 1983Instantaneous Control of Brownian Motion295 cited
  • 1980

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Controlled Diffusion Processes
258 cited

Cited by

  • 1991Irreversible Investment with Price Ceilings140 cited
  • 1998Trend Employment Growth and the Bunching of Job Creation and Destruction108 cited
  • 1997Debt in Industry Equilibrium103 cited
  • 1994Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data93 cited
  • 2003Predictability in Hedge Fund Returns (corrected)92 cited
  • 1997Optimal delta-hedging under transactions costs92 cited
  • 1993Option value of emission allowances88 cited
  • 2000Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes86 cited
  • 1996Firm behaviour under the threat of liquidation73 cited
  • 2003A generalized impulse control model of cash management71 cited
  • 2003Option pricing with transaction costs using a Markov chain approximation69 cited
  • 2010Should We Go Our Own Way? Backsourcing Flexibility in IT Services Contracts68 cited
  • 2008Optimal impulse control for a multidimensional cash management system with generalized cost functions67 cited
  • 1996Aggregate uncertainty, investment and asymmetric adjustment in the UK manufacturing sector63 cited
  • 1997Optimal bank reorganization and the fair pricing of deposit guarantees62 cited
  • 1999A class of solvable singular stochastic control problems56 cited